Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0999
Annualized Std Dev 0.2501
Annualized Sharpe (Rf=0%) 0.3995

Row

Daily Return Statistics

Close
Observations 3273.0000
NAs 1.0000
Minimum -0.1333
Quartile 1 -0.0065
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0078
Maximum 0.1081
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0158
Skewness -0.4743
Kurtosis 8.6372

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0109
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.5686
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0247
Modified ES (95%) -0.0495
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-06 2010-04-13 -0.5686 464 187 277
2020-01-17 2020-03-23 2020-11-23 -0.4652 216 45 171
2011-04-29 2011-10-03 2013-01-02 -0.2834 422 109 313
2018-08-30 2018-12-24 2019-12-17 -0.2543 327 80 247
2015-06-24 2016-02-11 2016-11-14 -0.2251 353 161 192

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -2.6 2.5 0.9 0.1 -0.1 -1.5 -0.8 -0.8 3.4 -6 4 -1.4
2009 -4.8 -1 0.3 0 3.9 1.5 -0.1 -2.3 -3.6 -3.1 1.8 -1.5 -8.7
2010 1.4 1.8 0.9 -2.3 -3.3 -0.5 0.3 3.4 0 -0.1 2 -0.5 3
2011 1.9 -1.7 0.8 -0.2 -2.1 1.7 -1 -1.6 -2.7 -4 -0.4 -0.2 -9.2
2012 2.4 0.6 -0.1 0.1 -3.1 2.7 -0.9 0.5 -0.6 2.4 0.1 1.6 5.8
2013 0.7 -0.4 -1.3 -1.4 -0.5 0.3 2 -1.6 1.4 0.2 0 0.3 -0.4
2014 -0.6 0.1 0.9 0.3 0 1 -0.4 0.4 -2.3 1.6 -1.4 -0.9 -1.3
2015 -1 -0.7 -0.4 0.8 -0.1 0 0.1 -3.2 -1 0.3 1 -0.7 -4.9
2016 -0.1 1.6 0.3 -0.8 0.6 0.4 -0.9 -0.4 1.2 -0.8 0 -0.8 0.2
2017 0 1.9 0 0.1 1.8 0.1 0.1 0.2 0 -0.2 -0.3 -0.5 3.2
2018 -0.1 -0.5 1.6 0.4 0.7 0 -0.4 -0.2 -0.7 2.4 0.4 0.9 4.7
2019 0.2 0.9 2 -1 -1.7 0.1 -2.8 0.3 -2.1 2 -0.8 0.1 -2.9
2020 -1.9 -1.4 -5 -3.4 1.6 -1.9 -1 0.7 1.3 -1 2.2 0.3 -9.4
2021 2.3 2.5 0.1 NA NA NA NA NA NA NA NA NA 4.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart